Monetary Policy and the Stock Market: Some International evidence
This paper investigates the impact of monetary policy on stock returns in thirteen OECD countries over the period 1972-2002. Our results indicate that monetary policy shifts significantly affect stock returns, thereby supporting the notion of monetary policy transmission via the stock market. Our contribution with respect to previous work is threefold. First, we show that our findings are robust to various alternative measures of stock returns. Second, our inferences are adjusted for the non-normality exhibited by the stock returns data. Finally, we take into account the increasing co-movement among international stock markets. The sensitivity analysis indicates that the results remain largely unchanged.
|Date of creation:||Sep 2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 0141 330 4618
Fax: 0141 330 4940
Web page: http://www.gla.ac.uk/schools/business/research/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cecchetti, Stephen G. & Kashyap, Anil K, 1996.
European Economic Review,
Elsevier, vol. 40(2), pages 331-360, February.
- Nelson, Edward, 2001.
"UK Monetary Policy 1972-97: A Guide Using Taylor Rules,"
CEPR Discussion Papers
2931, C.E.P.R. Discussion Papers.
- Edward Nelson, 2000. "UK monetary policy 1972-97: a guide using Taylor rules," Bank of England working papers 120, Bank of England.
- Cassola, Nuno & Morana, Claudio, 2004.
"Monetary policy and the stock market in the euro area,"
Journal of Policy Modeling,
Elsevier, vol. 26(3), pages 387-399, April.
- Cassola, Nuno & Morana, Claudio, 2002. "Monetary policy and the stock market in the euro area," Working Paper Series 0119, European Central Bank.
When requesting a correction, please mention this item's handle: RePEc:gla:glaewp:2006_12. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jeanette Findlay)
If references are entirely missing, you can add them using this form.